| Close | |
|---|---|
| Annualized Return | 0.0114 |
| Annualized Std Dev | 0.2017 |
| Annualized Sharpe (Rf=0%) | 0.0567 |
| Close | |
|---|---|
| Observations | 4981.0000 |
| NAs | 1.0000 |
| Minimum | -0.1067 |
| Quartile 1 | -0.0052 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0058 |
| Maximum | 0.0856 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0127 |
| Skewness | -0.4049 |
| Kurtosis | 7.2915 |
| Close | |
|---|---|
| Semi Deviation | 0.0093 |
| Gain Deviation | 0.0088 |
| Loss Deviation | 0.0101 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.5833 |
| Historical VaR (95%) | -0.0197 |
| Historical ES (95%) | -0.0313 |
| Modified VaR (95%) | -0.0203 |
| Modified ES (95%) | -0.0389 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-10-05 | 2009-03-09 | 2018-01-02 | -0.5833 | 4193 | 2035 | 2158 |
| 2018-01-30 | 2020-03-23 | 2020-11-16 | -0.3518 | 683 | 517 | 166 |
| 2021-01-15 | 2021-01-29 | 2021-02-08 | -0.0523 | 16 | 10 | 6 |
| 2021-02-25 | 2021-02-26 | 2021-03-10 | -0.0293 | 10 | 2 | 8 |
| 2020-12-18 | 2020-12-22 | 2021-01-06 | -0.0283 | 12 | 3 | 9 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.6 | 1.8 | -0.4 | 4 |
| 2001 | 0.4 | -0.5 | 0 | 0.4 | 0.7 | 0.2 | 0.1 | 0.6 | -0.3 | 0.3 | 0.5 | -0.3 | 2.1 |
| 2002 | 2 | 1.8 | -1.2 | 0.6 | -0.2 | -1.2 | -1.4 | -1.8 | -0.4 | -0.4 | 2.9 | 0.1 | 0.5 |
| 2003 | 0.7 | 1 | 1 | -0.4 | 1.1 | 0 | -1.1 | -0.6 | 2.3 | 0.3 | 1.3 | 0.4 | 6.1 |
| 2004 | -0.7 | 0.7 | 0.6 | -0.4 | -0.6 | -0.7 | -0.3 | 0.2 | 1.4 | -0.2 | 1 | -0.1 | 0.8 |
| 2005 | 0.2 | 0.1 | -0.6 | 0.9 | -0.7 | -0.3 | 0.1 | 1 | 0 | -0.5 | 1.1 | -0.1 | 1.2 |
| 2006 | 0.3 | 0.5 | -0.3 | -0.3 | 0.9 | 0.5 | -0.6 | 0.4 | -0.1 | -0.1 | -0.5 | -0.4 | 0.4 |
| 2007 | 0.5 | -3 | -0.3 | 0.1 | 0.1 | 0.1 | 0.4 | 1.1 | 0.9 | -2.5 | 0.6 | -0.8 | -2.8 |
| 2008 | 1.7 | -2.6 | 3.4 | 1.3 | 0.9 | -0.4 | -1.5 | -1.7 | -0.4 | 1.1 | -4.8 | 1.5 | -1.6 |
| 2009 | -2.2 | -1 | 1.2 | 1 | 2.9 | 0.9 | 1 | -1.8 | -2.4 | -2.5 | 1.7 | -0.7 | -2.1 |
| 2010 | 1.4 | 0.3 | 0.6 | -1.1 | -0.7 | 0.1 | 0.2 | 2.9 | 0.8 | -0.5 | 2.1 | 0.1 | 6.3 |
| 2011 | 2.1 | -0.9 | 0.6 | 0.6 | -1.3 | 1.4 | -1.1 | -0.6 | -2.2 | -2.8 | -0.6 | 0.1 | -4.7 |
| 2012 | 1.7 | 0.7 | 0.6 | 0.5 | -2.3 | 3.1 | -0.1 | 0.9 | 0.6 | 1.4 | 0 | 1.3 | 8.8 |
| 2013 | 0.9 | -0.4 | -0.7 | -1 | -1.2 | 1 | 1.5 | -0.8 | 0.8 | -0.3 | 0.3 | 0.4 | 0.5 |
| 2014 | -1.2 | 0.3 | 1.1 | 0.6 | -0.2 | 0.7 | -0.8 | 0.2 | -1.6 | 1.4 | -1.1 | -0.8 | -1.5 |
| 2015 | -0.1 | 0 | -0.6 | 0.3 | 0.6 | 0.1 | 0.3 | -2.8 | 0 | 0 | 0.8 | -1.2 | -2.7 |
| 2016 | 1.2 | 1.8 | -0.2 | -0.7 | -0.2 | 1.4 | 1.2 | 0.3 | 0.4 | -1 | -0.7 | 0.3 | 3.9 |
| 2017 | 0.3 | 1.3 | -0.4 | -0.1 | 0.4 | 0.3 | 0.9 | 0.5 | 0.8 | 0.6 | -0.5 | 0.2 | 4.5 |
| 2018 | 0.6 | -1.5 | 1.8 | -0.5 | 0.7 | 1.1 | 0.5 | -0.4 | 0.4 | 0.5 | -0.2 | 0.5 | 3.5 |
| 2019 | -0.1 | 0.3 | 1.5 | -0.6 | -1 | 0.7 | -0.7 | 0.4 | -1.1 | 1.1 | -0.6 | 0.2 | -0.1 |
| 2020 | -2 | -1 | -4.5 | -2.9 | 1 | 0.2 | -1.4 | 0.1 | 0 | -0.7 | 1.8 | -0.2 | -9.4 |
| 2021 | 1 | 1.7 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.8 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-09-29 84.8 SPY 144. -0.0171 -0.0114 -0.0447 -0.0114 0.118 NA NA <NA> NA NA NA
2 2000-10-02 85.1 SPY 144. 0.0015 -0.0022 -0.0558 -0.0233 0.100 NA NA <NA> NA NA NA
3 2000-10-03 85.3 SPY 142. -0.00930 0.0007 -0.0648 -0.0147 0.0909 NA NA <NA> NA NA NA
4 2000-10-04 85.5 SPY 144. 0.0083 0.0037 -0.0502 -0.0142 0.0834 NA NA <NA> NA NA NA
5 2000-10-05 85.1 SPY 144. 0.0035 -0.0133 -0.0373 -0.0264 0.0934 NA NA <NA> NA NA NA
6 2000-10-06 84.2 SPY 141. -0.0217 -0.0178 -0.0648 -0.0459 0.0537 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>